Alberto Plazzi

affiliation not provided to SSRN

Swiss Finance Institute

Faculty Member

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

Universita' della Svizzera italiana

Professor of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

http://usi.to/mpy

SCHOLARLY PAPERS

23

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Top 5,501

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91

CROSSREF CITATIONS

156

Scholarly Papers (23)

1.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov, Alberto Plazzi and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and affiliation not provided to SSRN
Downloads 1,538 (14,928)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

2.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
Eric Ghysels, Alberto Plazzi, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, affiliation not provided to SSRN, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,393 (17,433)
Citation 7

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real estate, predictability, market efficiency, REIT

3.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,195 (21,935)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

4.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov, Alberto Plazzi and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and affiliation not provided to SSRN
Downloads 871 (34,554)
Citation 15

Abstract:

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Cap rate, real estate, return predictability

5.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 788 (39,598)
Citation 19

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risk, return, financial crisis, flight-to-safety

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
Efe Çötelioğlu, Francesco A. Franzoni, Alberto Plazzi and Alberto Plazzi
Swiss Finance Institute, USI Lugano and affiliation not provided to SSRN
Downloads 632 (52,551)
Citation 12

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni, Alberto Plazzi and Alberto Plazzi
USI Lugano and affiliation not provided to SSRN
Downloads 108 (314,132)
Citation 7

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence from Hedge Fund Trades

CEPR Discussion Paper No. DP13645
Number of pages: 46 Posted: 09 Apr 2019
Francesco A. Franzoni, Alberto Plazzi, Alberto Plazzi and Efe Çötelioğlu
USI Lugano, affiliation not provided to SSRN and Swiss Finance Institute
Downloads 1 (828,687)
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

7.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Swiss Finance Institute Research Paper No. 17-53, Published, Management Science, 2019, Vol. 65:11, 5268–5289
Number of pages: 59 Posted: 18 Oct 2013 Last Revised: 05 Mar 2021
Priyank Gandhi, Benjamin Golez, Jens Carsten Jackwerth, Alberto Plazzi and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, University of Notre Dame, University of Konstanz - Department of Economics and affiliation not provided to SSRN
Downloads 703 (46,204)
Citation 13

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Libor, manipulation, financial market misconduct, enforcement

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
Eric Ghysels, Alberto Plazzi, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, affiliation not provided to SSRN, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 239 (160,687)

Abstract:

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volatility forecasting, multi-period forecasts, mixed-data sampling

9.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Priyank Gandhi, Hanno N. Lustig, Alberto Plazzi and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and affiliation not provided to SSRN
Downloads 615 (55,123)
Citation 1

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Financial crisis, Financial firms, Banking, Government bailouts

10.

Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Swiss Finance Institute Research Paper No. 16-54
Number of pages: 40 Posted: 09 Sep 2016 Last Revised: 05 Dec 2019
Alberto Plazzi, Alberto Plazzi, Walter N. Torous and Umit Yilmaz
affiliation not provided to SSRN, Massachusetts Institute of Technology and Swiss Finance Institute at the University of Lugano
Downloads 536 (65,432)
Citation 1

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corporate governance, AGR, operating performance

11.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Swiss Finance Institute Research Paper No. 19-52, Forthcoming, Management Science
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 05 Mar 2021
Andrea Berardi, Michael Markovich, Alberto Plazzi, Alberto Plazzi and Andrea Tamoni
Ca Foscari University of Venice - Dipartimento di Economia, QIO Quantitative Investment Office, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 360 (104,889)
Citation 2

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Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
affiliation not provided to SSRN, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 345 (109,220)

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Commercial real estate, cross-sectional volatility, total risk

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Real Estate Economics, Vol. 36, Issue 3, pp. 403-439, Fall 2008
Number of pages: 37 Posted: 04 Aug 2008
Alberto Plazzi, Alberto Plazzi, Walter Torous and Rossen I. Valkanov
affiliation not provided to SSRN, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 4 (796,041)
Citation 3
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13.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 42 Posted: 10 Feb 2016 Last Revised: 06 Apr 2021
Marc Gerritzen, Jens Carsten Jackwerth, Alberto Plazzi and Alberto Plazzi
Alterneo Capital, University of Konstanz - Department of Economics and affiliation not provided to SSRN
Downloads 336 (113,300)

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hedge funds, social ties, networks, abnormal performance

14.

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Swiss Finance Institute Research Paper No. 21-30
Number of pages: 62 Posted: 14 Apr 2021 Last Revised: 19 Oct 2021
Ruggero Jappelli, Loriana Pelizzon, Loriana Pelizzon, Alberto Plazzi and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and affiliation not provided to SSRN
Downloads 313 (122,766)

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Bailout

15.

Dissecting the Yield Curve: The International Evidence

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Swiss Finance Institute Research Paper No. 19-73, Journal of Banking and Finance, Forthcoming
Number of pages: 63 Posted: 24 Jun 2019 Last Revised: 12 Aug 2021
Andrea Berardi, Alberto Plazzi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and affiliation not provided to SSRN
Downloads 246 (156,754)
Citation 1

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Term structure, term premia, yield volatility, macro factors, comovement

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
Massimiliano Caporin, Loriana Pelizzon, Loriana Pelizzon, Alberto Plazzi and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and affiliation not provided to SSRN
Downloads 150 (244,934)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact International Market Co-Movements?

SAFE Working Paper No. 276
Number of pages: 61 Posted: 14 May 2020 Last Revised: 08 Sep 2020
Massimiliano Caporin, Loriana Pelizzon, Loriana Pelizzon, Alberto Plazzi and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE and affiliation not provided to SSRN
Downloads 73 (402,276)
Citation 1

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovements, Sovereign credit risk

17.

Diversification by U.S. Banks: True Safety or a False Sense of Security?

Swiss Finance Institute Research Paper No. 16-43
Number of pages: 52 Posted: 02 Jul 2016 Last Revised: 22 Jul 2017
Priyank Gandhi, Patrick Christian Kiefer, Alberto Plazzi and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, University of California, Los Angeles (UCLA) - Anderson School of Management and affiliation not provided to SSRN
Downloads 223 (172,274)
Citation 1

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Bank diversification, Non-interest income, Systemic risk, Financial crisis

18.

Inflation Risk Premia, Yield Volatility and Macro Factors

Swiss Finance Institute Research Paper No. 18-13, Published, Journal of Financial Econometrics, 2019, Vol. 17:3, 397–431
Number of pages: 51 Posted: 30 Jan 2018 Last Revised: 05 Mar 2021
Andrea Berardi, Alberto Plazzi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and affiliation not provided to SSRN
Downloads 170 (220,009)
Citation 2

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Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors

19.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 48 Posted: 08 Mar 2021 Last Revised: 10 Mar 2021
Matteo Garzoli, Alberto Plazzi, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 150 (246,987)

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

20.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 79 Posted: 20 Jun 2016 Last Revised: 31 Jan 2021
Priyank Gandhi, Hanno N. Lustig, Alberto Plazzi and Alberto Plazzi
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and affiliation not provided to SSRN
Downloads 33 (558,839)
Citation 4

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21.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
Eric Ghysels, Alberto Plazzi, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 19 (648,567)
Citation 2
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22.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
Eric Ghysels, Alberto Plazzi, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, affiliation not provided to SSRN, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

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23.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
affiliation not provided to SSRN, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate